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dc.contributor.authorBUCHHOLZ, Manuel
dc.contributor.authorTONZER, Lena
dc.date.accessioned2019-06-03T12:26:43Z
dc.date.available2019-06-03T12:26:43Z
dc.date.issued2016
dc.identifier.citationInternational finance, 2016, Vol. 19, No. 3, pp. 246-268en
dc.identifier.issn1367-0271
dc.identifier.issn1468-2362
dc.identifier.urihttps://hdl.handle.net/1814/63106
dc.descriptionFirst published: 14 December 2016en
dc.description.abstractWe investigate credit risk co-movements and contagion in the sovereign debt markets of 17 industrialized countries during the period 2008–2012. We use dynamic conditional correlations of sovereign credit default swap spreads to detect contagion. This approach allows us to separate contagion channels from the determinants of simple interdependence. The results show that, first, sovereign credit risk co-moves considerably, particularly among eurozone countries and during the sovereign debt crisis. Second, contagion varies across time and countries. Third, similarities in economic fundamentals, cross-country linkages in banking and common market sentiment constitute the main channels of contagion.en
dc.language.isoenen
dc.publisherWileyen
dc.relation.ispartofInternational financeen
dc.relation.isbasedonhttp://hdl.handle.net/1814/32105
dc.titleSovereign credit risk co-movements in the Eurozone : simple interdependence or contagion?en
dc.typeArticleen
dc.identifier.doi10.1111/infi.12099
dc.identifier.volume19en
dc.identifier.startpage246en
dc.identifier.endpage268en
dc.identifier.issue3en
dc.description.versionIs based on author's EUI PhD thesis, 2014


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